Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.4005 |
| Annualized Std Dev | 0.8182 |
| Annualized Sharpe (Rf=0%) | -0.4895 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3111.0000 |
| NAs | 1.0000 |
| Minimum | -0.4767 |
| Quartile 1 | -0.0248 |
| Median | -0.0011 |
| Arithmetic Mean | -0.0007 |
| Geometric Mean | -0.0020 |
| Quartile 3 | 0.0220 |
| Maximum | 0.6047 |
| SE Mean | 0.0009 |
| LCL Mean (0.95) | -0.0025 |
| UCL Mean (0.95) | 0.0011 |
| Variance | 0.0027 |
| Stdev | 0.0515 |
| Skewness | 0.6458 |
| Kurtosis | 15.0695 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0352 |
| Gain Deviation | 0.0410 |
| Loss Deviation | 0.0360 |
| Downside Deviation (MAR=210%) | 0.0399 |
| Downside Deviation (Rf=0%) | 0.0355 |
| Downside Deviation (0%) | 0.0355 |
| Maximum Drawdown | 0.9988 |
| Historical VaR (95%) | -0.0729 |
| Historical ES (95%) | -0.1144 |
| Modified VaR (95%) | -0.0599 |
| Modified ES (95%) | -0.0599 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-11-21 | 2021-03-12 | NA | -0.9988 | 3102 | 3096 | NA |
| 2008-11-13 | 2008-11-13 | 2008-11-20 | -0.3520 | 6 | 1 | 5 |
| 2008-11-07 | 2008-11-07 | 2008-11-12 | -0.1077 | 4 | 1 | 3 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2008 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 25.5 | -4 | 20.5 |
| 2009 | 3.2 | 7.9 | -6.2 | -8.6 | -10 | 0 | -1.8 | 5.7 | 7.9 | 10.7 | -4.1 | 2.2 | 4.4 |
| 2010 | -9.1 | -2.8 | -5.2 | 3.4 | 12.7 | 1.3 | 0.8 | -10.7 | -3.7 | -1 | -8.5 | -0.4 | -22.7 |
| 2011 | -5.1 | 4.8 | -1 | -5 | 6.6 | -3.1 | 0.6 | 2.6 | 8.8 | 9.5 | 0.3 | -0.1 | 18.9 |
| 2012 | -1.1 | -2.7 | -2 | -4.1 | 7 | -8.7 | -1.7 | -2.7 | -1.8 | -1.9 | 0.4 | -6.5 | -23.7 |
| 2013 | -3 | 0.7 | 0.7 | 4.6 | 6.1 | -2.2 | -5 | 0.1 | -2.2 | 0.9 | 0.5 | -2.7 | -2 |
| 2014 | 4.2 | -1.7 | -1.7 | 0.8 | 0.1 | -0.2 | 2.4 | -1.7 | 6 | -6.1 | -1.2 | 2.3 | 2.7 |
| 2015 | -2.7 | 1.3 | -0.7 | -0.8 | 0.5 | 3.7 | 6.4 | 10.8 | -0.5 | -2 | -2.3 | -1.4 | 12 |
| 2016 | 5 | -7.2 | 4.3 | 0.5 | -0.6 | -1.8 | 9.9 | 0.8 | -4.1 | -0.2 | -0.9 | 0.6 | 5.3 |
| 2017 | 2.2 | -6.2 | 0.8 | 0.6 | -1.8 | -1.4 | 0.2 | -3 | -0.1 | -3.4 | -2.5 | 0.7 | -13.2 |
| 2018 | -3 | 0.7 | -6.2 | 1.8 | -1.5 | -1.9 | 4.1 | 2.4 | -4.3 | -2.4 | 0.9 | -0.9 | -10.3 |
| 2019 | -5.4 | -5.5 | -4.1 | 6.2 | 5.1 | -0.6 | 6.9 | -0.1 | 6.8 | -7.4 | 2.8 | -1.9 | 1.4 |
| 2020 | 9.3 | -3.4 | 10.8 | 11.5 | -3.3 | 4.8 | 1.4 | 1.3 | 6.7 | -0.8 | -0.8 | 1.9 | 45.1 |
| 2021 | -1.1 | -4.9 | -0.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -6.3 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2008-11-06 10251. SPY 90.9 -0.0554 -0.0565 -0.0682 -0.298 -0.386 -0.256 -0.142 GLD 72.2 -0.008 -0.0067
2 2008-11-07 9147. SPY 93.9 0.033 -0.0307 0.0348 -0.282 -0.362 -0.232 -0.118 GLD 72.5 0.0039 0.0163
3 2008-11-10 9195. SPY 92.6 -0.0131 -0.0461 0.0467 -0.284 -0.362 -0.242 -0.123 GLD 73.6 0.0149 0.0349
4 2008-11-11 9756. SPY 89.8 -0.0309 -0.106 -0.114 -0.302 -0.375 -0.266 -0.146 GLD 72.0 -0.0208 -0.0454
5 2008-11-12 12138. SPY 85.8 -0.044 -0.108 -0.140 -0.338 -0.420 -0.304 -0.184 GLD 70 -0.0285 -0.0385
6 2008-11-13 7866. SPY 91.2 0.0623 0.0034 0.0128 -0.300 -0.383 -0.263 -0.143 GLD 72.2 0.0307 -0.001
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
